Modelling the asymmetric volatility of electronics patents in the USA.

DOI10.1016/S0378-4754(03)00130-7zbMath1117.91418OpenAlexW2053217833MaRDI QIDQ1418619

Michael McAleer, Dora Marinova, Felix T. S. Chan

Publication date: 14 January 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(03)00130-7

zbMATH Keywords

GARCHAsymmetryEGARCHGJRVolatilityTrendsInnovationShocksElectronics patentsPatent share

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Unnamed Item
• An econometric analysis of asymmetric volatility: theory and application to patents
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Testing for a unit root in time series regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

This page was built for publication: Modelling the asymmetric volatility of electronics patents in the USA.